According to the latest issue of the Centipede Press newsletter, Volume 3, The Man Underneath, is imminent. Quoting from the email:

Volume 3 of the R.A. Lafferty will be here the first week of February. You will be able to pre-order this item starting next week. People who have bought the signed versions of the first two volumes will have first shot to purchase and will keep the same numbers.

David TateProfessor of Story Problems, emeritusRationalist with sombreroBaseballogist